Portfolio
ridgeRidge no sector· rebalanceo 2020-11-30
Run
LGBM long only1.72LGBM 126d fundamental flexible 50 long only uncapped1.36LGBM 126d fundamental flexible 50 uncapped1.20LGBM 126d fundamental flexible uncapped0.96LGBM 126d fundamental flexible 50 sector450.96LGBM short filter0.81LGBM 126d flexible 50 beta600.81LGBM 126d fundamental flexible sector450.79LGBM 126d fundamental flexible0.64LGBM 126d flexible 50 beta400.51LGBM0.29LGBM buffer-0.04LGBM macro-0.26Ridge macro-0.33Ridge-0.33LGBM dual tail macro-0.37Ridge no sector-0.38LGBM 126d sector market cap 25 25-0.45LGBM beta neutral buffer-0.50LGBM dual tail-0.62LGBM no sector-0.71LGBM 126d—LGBM 21d—LGBM 252d—
Línea temporal
72 rebalanceosSnapshot (histórico)
Long book
15
gross 50.0%
Short book
15
gross -50.0%
Sectores cubiertos
10
30 posiciones
Sortino del run
-0.38
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
4.18%
Short avg
10.26%
bajar = bueno para el short
Spread long − short
-6.08%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MSCI | MSCI Inc. | Financial Services | 0.180 | 3.33% | -1.16% |
| 2 | MA | Mastercard Incorporated | Financial Services | 0.170 | 3.33% | 3.21% |
| 3 | NRG | NRG Energy, Inc. | Utilities | 0.147 | 3.33% | 15.76% |
| 4 | PSA | Public Storage | Real Estate | 0.145 | 3.33% | 3.54% |
| 5 | PM | Philip Morris International Inc. | Consumer Defensive | 0.144 | 3.33% | 10.83% |
| 6 | V | Visa Inc. | Financial Services | 0.135 | 3.33% | 0.30% |
| 7 | SPGI | S&P Global Inc. | Financial Services | 0.131 | 3.33% | -1.82% |
| 8 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.122 | 3.33% | 9.90% |
| 9 | EW | Edwards Lifesciences Corporation | Healthcare | 0.113 | 3.33% | -2.41% |
| 10 | GPN | Global Payments Inc. | Financial Services | 0.113 | 3.33% | -0.63% |
| 11 | ANET | Arista Networks, Inc. | Technology | 0.110 | 3.33% | -0.65% |
| 12 | MCO | Moody's Corporation | Financial Services | 0.109 | 3.33% | -0.20% |
| 13 | EXPE | Expedia Group, Inc. | Consumer Cyclical | 0.108 | 3.33% | 22.72% |
| 14 | YUM | Yum! Brands, Inc. | Consumer Cyclical | 0.103 | 3.33% | -2.17% |
| 15 | INTU | Intuit Inc. | Technology | 0.102 | 3.33% | 5.48% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | BIO | Bio-Rad Laboratories, Inc. | Healthcare | -0.148 | -3.33% | 0.84% |
| 2 | KR | The Kroger Co. | Consumer Defensive | -0.143 | -3.33% | 3.74% |
| 3 | NEM | Newmont Corporation | Basic Materials | -0.142 | -3.33% | -6.63% |
| 4 | TSN | Tyson Foods, Inc. | Consumer Defensive | -0.128 | -3.33% | 8.47% |
| 5 | HII | Huntington Ingalls Industries, Inc. | Industrials | -0.117 | -3.33% | 9.31% |
| 6 | GEN | Gen Digital Inc. | Technology | -0.110 | -3.33% | 10.39% |
| 7 | WDC | Western Digital Corporation | Technology | -0.103 | -3.33% | 29.47% |
| 8 | TGT | Target Corporation | Consumer Defensive | -0.103 | -3.33% | -4.93% |
| 9 | NOV | NOV Inc. | Energy | -0.102 | -3.33% | 19.37% |
| 10 | XRX | Xerox Holdings Corporation | Industrials | -0.094 | -3.33% | 15.42% |
| 11 | TAP | Molson Coors Beverage Company | Consumer Defensive | -0.094 | -3.33% | -1.87% |
| 12 | CINF | Cincinnati Financial Corporation | Financial Services | -0.093 | -3.33% | 22.93% |
| 13 | GE | GE Aerospace | Industrials | -0.092 | -3.33% | 29.13% |
| 14 | PGR | The Progressive Corporation | Financial Services | -0.092 | -3.33% | 2.30% |
| 15 | GPS | The Gap, Inc. | Consumer Cyclical | -0.087 | -3.33% | 15.92% |
Sector exposure en el rebalanceo seleccionado
2020-11-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 23.3% | 6.7% | 16.67% | 7 | 2 |
| Consumer Defensive | 3.3% | 13.3% | -10.00% | 1 | 4 |
| Technology | 6.7% | 6.7% | 0.00% | 2 | 2 |
| Consumer Cyclical | 6.7% | 3.3% | 3.33% | 2 | 1 |
| Industrials | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Healthcare | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Energy | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Real Estate | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Utilities | 3.3% | 0.0% | 3.33% | 1 | 0 |